PLANNING OF EXPERIMENTS FOR A NONAUTONOMOUS ORNSTEIN-UHLENBECK PROCESS

被引：2
作者：
Lacko, Vladimir [1 ]
机构：
[1] Comenius Univ, Dept Appl Math & Stat, Fac Math Phys & Informat, SK-84248 Bratislava, Slovakia
来源：
PROBASTAT '11: PROCEEDINGS OF THE SIXTH INTERNATIONAL CONFERENCE ON PROBABILITY AND STATISTICS: DEDICATED TO PROFESSOR LUBOMIR KUBACEK IN RECOGNITION OF HIS EIGHTIETH BIRTHDAY | 2012年 / 51卷
关键词：
exact design; product covariance structure; Ito stochastic differential equation; estimation; asymptotic information matrix; efficiency; REGRESSION PROBLEMS; SAMPLING DESIGNS; EQUIDISTANT;
D O I：
10.2478/v10127-012-0011-2
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study exact optimal designs for processes governed by mean-reversion stochastic differential equations with a time dependent volatility and known mean-reversion speed. It turns out that any mean-reversion Ito process has a product covariance structure. We prove the existence of a nondegenerate optimal sampling design for the parameter estimation and derive the information matrix corresponding to the observation of the full path. The results are demonstrated on a process with exponential volatility.
引用
收藏
页码：101 / 113
页数：13
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